Evaluating momentum in Brazil using quantile regressions
Abstract The purpose of this study was to measure the relationship between expected returns and capital gains overhang (CGO) (a proxy for the disposition effect) in the Brazilian financial market. It also investigated the ability of the disposition effect to induce momentum. Quantile regression allo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidade de São Paulo
2024-09-01
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| Series: | Revista Contabilidade & Finanças |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772024000200504&lng=en&tlng=en |